Approximate Dynamic Programming
Solving the curses of dimensionality
The Second Edition
(c) John Wiley
programming has often been dismissed because it suffers from “the curse
of dimensionality.” In fact, there are up to three curses of dimensionality: the state space, the outcome space and the action space.
This book brings together dynamic programming, math programming,
simulation and statistics to solve complex problems using practical techniques
that scale to real-world applications. Even more so than the first edition, the second edition forms a bridge between the foundational work in reinforcement learning, which focuses on simpler problems, and the more complex, high-dimensional applications that typically arise in operations research. Our work is motivated by many industrial projects undertaken by CASTLE
Lab, including freight transportation, military logistics, finance,
health and energy.
The book is written at a level